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<div id="projectbrief">A free/open-source library for quantitative finance</div>
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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_isda_cds_engine.html">IsdaCdsEngine</a></li> </ul>
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<a href="#pub-types">Public Types</a> |
<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">IsdaCdsEngine Class Reference</div> </div>
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<p><code>#include <ql/pricingengines/credit/isdacdsengine.hpp></code></p>
<p>Inherits CreditDefaultSwap::engine.</p>
<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-types"></a>
Public Types</h2></td></tr>
<tr class="memitem:a3ca95a9bd2310b8a8d386f73229933c4"><td class="memItemLeft" align="right" valign="top">enum  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_isda_cds_engine.html#a3ca95a9bd2310b8a8d386f73229933c4">NumericalFix</a> { <b>None</b>,
<b>Taylor</b>
}</td></tr>
<tr class="separator:a3ca95a9bd2310b8a8d386f73229933c4"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ab5bbf9c9f5fb15eb85f2345d743e2567"><td class="memItemLeft" align="right" valign="top"><a id="ab5bbf9c9f5fb15eb85f2345d743e2567"></a>enum  </td><td class="memItemRight" valign="bottom"><b>AccrualBias</b> { <b>HalfDayBias</b>,
<b>NoBias</b>
}</td></tr>
<tr class="separator:ab5bbf9c9f5fb15eb85f2345d743e2567"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:af9b6031dd0383401601cc80fc18672c9"><td class="memItemLeft" align="right" valign="top"><a id="af9b6031dd0383401601cc80fc18672c9"></a>enum  </td><td class="memItemRight" valign="bottom"><b>ForwardsInCouponPeriod</b> { <b>Flat</b>,
<b>Piecewise</b>
}</td></tr>
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Public Member Functions</h2></td></tr>
<tr class="memitem:a87ec5853160ede59fed59d938453dff7"><td class="memItemLeft" align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_isda_cds_engine.html#a87ec5853160ede59fed59d938453dff7">IsdaCdsEngine</a> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_default_probability_term_structure.html">DefaultProbabilityTermStructure</a> > &probability, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> recoveryRate, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &discountCurve, const boost::optional< bool > &includeSettlementDateFlows=boost::none, <a class="el" href="class_quant_lib_1_1_isda_cds_engine.html#a3ca95a9bd2310b8a8d386f73229933c4">NumericalFix</a> numericalFix=Taylor, AccrualBias accrualBias=HalfDayBias, ForwardsInCouponPeriod forwardsInCouponPeriod=Piecewise)</td></tr>
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<a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > </td><td class="memItemRight" valign="bottom"><b>isdaRateCurve</b> () const</td></tr>
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<a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_default_probability_term_structure.html">DefaultProbabilityTermStructure</a> > </td><td class="memItemRight" valign="bottom"><b>isdaCreditCurve</b> () const</td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>calculate</b> () const</td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>References:</p>
<p>[1] The Pricing and Risk Management of Credit Default Swaps, with a Focus on the ISDA Model, OpenGamma Quantitative Research, Version as of 15-Oct-2013</p>
<p>[2] ISDA CDS Standard Model Proposed Numerical Fix \ Thursday, November 15, 2012, Markit</p>
<p>[3] Markit Interest Rate <a class="el" href="class_quant_lib_1_1_curve.html" title="abstract curve class">Curve</a> XML Specifications, Version 1.16, Tuesday, 15 October 2013 </p>
</div><h2 class="groupheader">Member Enumeration Documentation</h2>
<a id="a3ca95a9bd2310b8a8d386f73229933c4"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a3ca95a9bd2310b8a8d386f73229933c4">◆ </a></span>NumericalFix</h2>
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<td class="memname">enum <a class="el" href="class_quant_lib_1_1_isda_cds_engine.html#a3ca95a9bd2310b8a8d386f73229933c4">NumericalFix</a></td>
</tr>
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<p>According to [1] the settings for the flags AccrualBias / ForwardsInCouponPeriod corresponding to the standard model implementation C code are</p>
<p>prior 1.8.2 HalfDayBias / Flat 1.8.2 NoBias / Flat</p>
<p>The theoretical correct setting would be NoBias / Piecewise</p>
<p>Todo: Clarify in which version of the standard model implementation C code the numerical problem of zero denominators is solved and how exactly. </p>
</div>
</div>
<h2 class="groupheader">Constructor & Destructor Documentation</h2>
<a id="a87ec5853160ede59fed59d938453dff7"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a87ec5853160ede59fed59d938453dff7">◆ </a></span>IsdaCdsEngine()</h2>
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<td class="memname"><a class="el" href="class_quant_lib_1_1_isda_cds_engine.html">IsdaCdsEngine</a> </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_default_probability_term_structure.html">DefaultProbabilityTermStructure</a> > & </td>
<td class="paramname"><em>probability</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>recoveryRate</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > & </td>
<td class="paramname"><em>discountCurve</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const boost::optional< bool > & </td>
<td class="paramname"><em>includeSettlementDateFlows</em> = <code>boost::none</code>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="class_quant_lib_1_1_isda_cds_engine.html#a3ca95a9bd2310b8a8d386f73229933c4">NumericalFix</a> </td>
<td class="paramname"><em>numericalFix</em> = <code>Taylor</code>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">AccrualBias </td>
<td class="paramname"><em>accrualBias</em> = <code>HalfDayBias</code>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">ForwardsInCouponPeriod </td>
<td class="paramname"><em>forwardsInCouponPeriod</em> = <code>Piecewise</code> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td></td>
</tr>
</table>
</div><div class="memdoc">
<p>Constructor where the client code is responsible for providing a default curve and an interest rate curve compliant with the ISDA specifications.</p>
<p>To be precisely consistent with the ISDA specification static bool <a class="el" href="class_quant_lib_1_1_ibor_coupon.html#a32229dc1b39b0545e90fd603d848899d">IborCoupon::usingAtParCoupons()</a>; must be true. This is not checked in order not to kill the engine completely in this case.</p>
<p>Furthermore, the ibor index in the swap rate helpers should not provide the evaluation date's fixing. </p>
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